“Trade Credit and Cross-Country Predictable Firm Returns,” (with Tarun Ramadorai and Sumudu Watugala) March 2014. Revise and Resubmit at Journal of Financial Economics. Recipient of the 2012/2013 Inquire Third Prize at the Autumn Seminar in Istanbul.
Shows that international costumer-producer linkages lead to cross-return predictability especially when firms have high trade credit.
“Valuation Risk and Asset Pricing” (with Martin Eichenbaum and Sergio Rebelo) November 2013. Slides for presentation at Bundesbank from May 2012 (under old title of “Understanding the Equity-premium Puzzle and the Correlation Puzzle”)
Identifies a novel component of the equity premium due to time preference shocks. The model requires a low risk aversion to generate the observed equity premium and explains an upward slopping term structure of bond yields.
“Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence,” (with Art Durnev and Yrjo Koskinen) June 2013. First version: November 2011. Recipient of a BSI Gamma Foundation grant in 2011, the Best Paper Award at the Geneva Summit on Sustainable Finance in 2013, and the ECGI Finance Best Paper Award for 2013.
Presents a model of how CSR affects firm systematic risk and provides evidence consistent with the model.
"International Corporate Governance Spillovers: Evidence from Cross-Border Mergers and Acquisitions," (with Miguel Ferreira, Luis Marques and Pedro Matos) First version August 2013.
Documents that foreign direct investment is a vehicle for governance improvements in host countries.
"Investment Analysis of Autocallable Contingent Income Securities," (with Raquel Gaspar and Allen Michel) March 2014.
Presents a systematic analysis of the return properties of a structured product of growing relevance in the US market and describes the data available on the product.
“The Marketability Discount of Controlling Blocks of Shares,” (with Enrique Schroth) June 2013.
Managerial version of “The Value of Control and the Costs of Illiquidity” conditionally accepted at the Journal of Finance.
“Skewness in Stock Returns, Periodic Cash Payouts, and Investor Heterogeneity,” March 2010. First version: November 2009.
Models the effect of firm announcements on conditional heteroskedasticity and trading volume.